I'm using cygwin to launch build.sh file, which builds my project. How can I make build system in st2 which will run build.sh file using cygwin and of course print all messages to console? It will be really usefull for me.

Knowing the internals of this (i.e. how builds are run), I'd say it is more predictable and there may be situations where the cmd + shell combination may not produce what you want, although I don't know any example.